I use Live! and I've connected a Roland JV-2080 to it using a midi cable via the Scarlett Focusrite sound card. Within Live! I've defined "External instruments". Also on each track I've specified the midi-channel that I use in the JV-2080.
There is an amp connected directly at the JV-2080 not at the Scarlett! I do that because I have a powerful amp and it is fun to play/record like that.

My workflow is that I play the hard synth parts the way I've just described, then I will record them as audio (using audio cable connected to the Scarlett) and add others tracks using VST's within Live!.

Everything is cool and I can record multiple tracks using the JV-2080 as a multitimbral sound module.

But to keep things in balance, I want to be able to set the volumes of each track. The "normal" volume-outs in LIve! don't work, because the audio is sent directly from the JV-2080 to an amp and not in Live!.

I've discovered that other midi-parameters like expression, pitch bend etc. are well recognised, so I wonder now if there is an easy way to set the volumes of the tracks while recording?

I've found an easy way to set the volume of each track: Click on the MIDI-track and set the "Expansion (11)" parameter on the desired level. So I can make a rough mix before recording each track as an audio track and finish the project.